Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0042
Annualized Std Dev 0.1409
Annualized Sharpe (Rf=0%) -0.0295

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1218
Quartile 1 -0.0033
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0038
Maximum 0.1647
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0089
Skewness 0.9035
Kurtosis 53.9733

Downside Risk

Close
Semi Deviation 0.0063
Gain Deviation 0.0072
Loss Deviation 0.0075
Downside Deviation (MAR=210%) 0.0114
Downside Deviation (Rf=0%) 0.0063
Downside Deviation (0%) 0.0063
Maximum Drawdown 0.5603
Historical VaR (95%) -0.0115
Historical ES (95%) -0.0205
Modified VaR (95%) -0.0025
Modified ES (95%) -0.0025
From Trough To Depth Length To Trough Recovery
1999-01-20 2008-10-10 2012-10-26 -0.5603 3468 2448 1020
2012-11-30 2020-03-23 NA -0.3720 2090 1839 NA
2012-10-31 2012-11-05 2012-11-20 -0.0408 15 4 11
1999-01-05 1999-01-05 1999-01-06 -0.0082 2 1 1
1999-01-12 1999-01-12 1999-01-15 -0.0081 4 1 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.4 -0.4 -0.4 0 -0.5 -0.5 0.5 0 -0.5 1.1 0 0.6 0.3
2000 1.1 -1.1 1.2 -0.6 1.8 1.7 0 -0.5 0.5 0 0.6 -1.6 2.9
2001 0.2 0.3 1.3 0 -0.1 0 0.3 0 0.1 0.5 -0.1 1.1 3.6
2002 0.3 -0.1 0.3 0.2 0.1 0.1 1.1 0.5 -1 0.3 0.7 1.3 3.8
2003 -0.3 0.2 0.2 0.2 0.8 -0.1 -0.4 0.6 -0.5 -0.2 -0.3 0.7 0.9
2004 0.7 0.3 0.2 -0.3 0 1.5 0.8 0.2 -0.5 0.1 0 0.2 3.2
2005 -0.3 0.2 2 0 0.4 0.3 0.4 0 0.5 0.3 0 -0.1 3.7
2006 0.1 0.1 0.2 -0.6 0.6 0.2 0.2 0.8 -0.1 0 -0.1 0.4 1.8
2007 0.6 0.1 0 -0.5 -0.4 0 -0.3 1.4 -0.3 -0.3 0.4 1.2 1.8
2008 -0.3 -2.1 0.6 -0.3 -0.4 0.3 0.6 -0.7 4.6 -1.8 -0.6 2.8 2.6
2009 0 0.7 0.5 0.3 -0.2 -0.5 0.1 -0.1 0.5 -0.5 0.9 0 1.7
2010 0 -0.1 0.3 0.4 0.4 -0.2 0.1 0 0.2 0.2 -2.1 1.7 1
2011 0.5 0.1 1.9 1.4 0.3 0.7 1.5 0.5 1.2 0.6 0.5 0.4 9.8
2012 0.6 0.3 0 -0.2 -0.1 0 -0.7 0.1 0.3 0.5 -1.1 0.3 0.1
2013 -0.3 -0.2 -0.8 0.6 -1.6 0.8 -0.8 0.1 0.1 -0.8 0.4 -0.3 -2.7
2014 0.2 0.4 -0.1 0.9 -0.4 0.2 0.6 0.1 0.2 -0.1 0.4 0 2.3
2015 0.9 1.3 0.5 -0.7 -0.3 -0.1 -0.1 0 -0.3 0.8 -0.5 -0.2 1.4
2016 0.1 0.4 0 0.1 0.6 0.2 0 -0.3 -0.5 0.1 -1.4 0.2 -0.3
2017 -0.7 0 -0.1 0.4 0.3 0.8 0.7 0 -0.7 0 0.6 0.6 1.9
2018 -0.2 0 0.8 0 0.2 0.5 0.2 0.2 0.1 0.2 0.5 0.3 2.9
2019 0.6 0.3 0 0 -0.1 -0.1 0.5 0.2 0.3 -0.2 -0.1 -0.3 1
2020 -0.1 -0.2 -2.8 0 0.6 0.1 0.4 0.6 0.5 -0.5 -0.2 -0.9 -2.6
2021 -0.1 0.1 0 NA NA NA NA NA NA NA NA NA 0

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  15.2 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  15.1 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  15.3 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  15.2 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  15.2 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  15.4 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart